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在分析MBS定价的影响因素以及比较结构化模型与简化形式模型定价方法的基础上,考虑模型的稳健性和可操作性,本文利用简化方法中的Schwartz和Torous定价模型,以建元2007-1RMBS作为研究对象,模拟出BDT利率模型下的利率期限结构,再结合提前还款模型中的PSA法确定贷款现金流,进而确定期权调整价差OAS,构建了适用于我国的MBS定价模型。
Based on the analysis of the influencing factors of MBS pricing and the comparison between the structured model and the simplified form pricing method, taking into account the robustness and operability of the model, this paper uses the Schwartz and Torous pricing model of the simplified method, As the research object, this paper simulates the term structure of the interest rate under the BDT interest rate model, and then determines the loan cash flow with the PSA method in the prepayment model, and then determines the option adjustment spread OAS to construct the MBS pricing model applicable to our country.